R Development Page

Contributed R Packages

Below is a list of all packages provided by project ReturnAnalytics.

Important note for package
binaries: R-Forge provides these binaries only for
the most recent version of R, but not for older
versions. In order to successfully install the
packages provided on R-Forge, you have to switch
to the most recent version of R or, alternatively,
install from the package sources (.tar.gz).

Packages

Kevin Dowds book Measuring Market Risk is a widely read book
in the area of risk measurement by students and
practitioners alike. As he claims, MATLAB indeed might have been the most
suitable language when he originally wrote the functions, but,
with growing popularity of R it is not entirely
valid. As Dowds code was not intended to be error free and were mainly
for reference, some functions in this package have inherited those
errors. An attempt will be made in future releases to identify and correct
them. Dowds original code can be downloaded from www.kevindowd.org/measuring-market-risk/.
It should be noted that Dowd offers both
MMR2 and MMR1 toolboxes. Only MMR2 was ported to R. MMR2 is more
recent version of MMR1 toolbox and they both have mostly similar
function. The toolbox mainly contains different parametric and non
parametric methods for measurement of market risk as well as
backtesting risk measurement methods.

Collection of functionality ported from the MATLAB code of Attilio
Meucci.

Attilio Meucci is a thought leader in advanced risk and portfolio
management. His innovations include Entropy Pooling (technique for fully
flexible portfolio construction), Factors on Demand (on-the-fly factor
model for optimal hedging), Effective Number of Bets (entropy-eigenvalue
statistic for diversification management), Fully Flexible Probabilities
(technique for on-the-fly stress-test and estimation without re-pricing),
and Copula-Marginal Algorithm (algorithm to generate panic copulas).
Attilio is somewhat rare in the world of financial research in that he
regularly posts code along with his working papers. Unfortunately for
those of us using R, he prefers to code in Matlab. Some of that code
requires Matlabs additional Optimization Toolkit. This package is the
result of a Google Summer of Code project in 2012 and 2013 that seeks to
convert a subset of his Matlab code to R to make it more widely accessible
to R users. All of Meuccis original MATLAB source is available on
www.symmys.com. That code should be considered the reference code that
this package seeks to port to R. This package remains under development
(and likely will as long as Attilio keeps publishing code), and any and all
feedback is appreciated.

Creates formatted views of performance and risk information using PerformanceAnalytics and other packages. This is considered EXPERIMENTAL CODE and WILL NOT BE SUPPORTED. Collaboration towards creating a supportable code base would be welcome, however.

Performance attribution tools used for identifying sources of portfolio return and risk.

This package provides functions for the ex-post portfolio attribution methods described in Christopherson, Carino and Ferson (2009), Bacon (2008), and several other sources. The package was initially created as a part of the Google Summer of Code (GSoC) 2012 project.

Build status codes

0 - Current: the package is available for download. The corresponding package passed checks on the Linux and Windows platform without ERRORs.
1 - Scheduled for build: the package has been recognized by the build system and provided in the staging area.
2 - Building: the package has been sent to the build machines. It will be built and checked using the latest patched version of R. Note that it is included in a batch of several packages. Thus, this process will take some time to finish.
3 - Failed to build: the package failed to build or did not pass the checks on the Linux and/or Windows platform. It is not made available since it does not meet the policies.
4 - Conflicts: two or more packages of the same name exist. None of them will be built. Maintainers are asked to negotiate further actions.
5 - Offline: the package is not available. The build system may be offline or the package maintainer did not trigger a rebuild (done e.g., via committing to the package repository).